Posted on

Quantopian – Wild About Harry and his Permanent Portfolio

Lazy Portfolio

Fooled by Randomness.

Michael Harris of Price Action Blog has written a couple of very thoughtful books and many helpful articles. I do not subscribe to the theory that market timing does not work nor do I believe that momentum has died because of over use.

However in broad terms I agree with a great deal of what he has to say about the absurdity of back testing and the futility of so many trader’s and hedge fund manager’s endeavours.

From the perspective of a long term investor however some sort of decision has to be reached. Portfolio allocation is key as is re-balancing to retain the desired allocation.

This in itself is a systematic or quantitative approach.

So without further ado herewith a very crude version of Harry Browne’s Permanent Portfolio. You will curse it when stocks are booming and you will bless it during a stock market crash:

Quantopian Code and Test Results

Leave a Reply